Description: This paper, first published in 1982 in the Transactions of Society of Actuaries, Vol. 34, discusses the phenomenon of durational antiselection, a commonly observed steady and seemingly irreversible increase in loss ratios on mature blocks of individual health insurance policies. The author, William F. Bluhm, constructs a model to explain the deterioration of loss ratios over time, and to quantify the cumulative antiselection effect. This paper was awarded the 1980-82 Triennial Prize. The paper includes written discussion and the author’s review of discussion.

Description: This paper is to some extent a sequel to my previous paper A Bond Manager's Method for ALM published in Actuarial Research Clearing House Volume 1993.3. It borrows from that paper the concept of benchmark weights for measuring the sensitivity of the present value of a set of cash flows to changes in interest rates. However, a completely different approach to calculating benchmark weights is presented.

Description: Preamble Section - An introduction to the treaty. Published as part of a series of documents under the heading of Life Treaty Provisions.

Description: The specific aim of the proposed research is to both theoretically and empirically catalog the different ways one could expect consumption in a household after retirement to be different than consumption before retirement. The long term goal of this research is to help better inform best practices for financial planners, professionals and educators in the construction of financially prudent retirement plans. This decomposition can be separated generally into three main paradigms. The first two of these paradigms concern how preferences affect consumption before and during retirement, while the third is concerned with the financial constraints retirement brings.

Description: The paper will focus on two broad areas, integration of insurance products with investment products to mitigate the risk of outliving one’s assets in post-retirement financial planning. Modeling and pricing for the longevity risk in the secondary market in insurance.

Description: This paper describes a current approach to capital allocation, tail contribution analysis TCA, and then compares it to an alternate method called economic profit analysis, EPA. The advantages of EPA over TCA are then outlined. From 2006 Enterprise risk Management Symposium, M-AS06-1.

Description: Risk management theory prescribes a few legitimate reasons for management to hedge corporate revenues and reduce income volatility. In this paper we will use the oil tanker industry to illustrate some of these strategic considerations and how management can account for them in their decisions regarding whether and how much to hedge. Further work is needed to incorporate these considerations into a broader theoretical framework. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: This paper shows an approach whereby future asset returns and liabilities are modeled taking into account the probability of various returns. It develops an asset-smoothing approach that uses an expected return on the asset mix and averages both historical and projected asset values. From Current Pension Actuarial Practice in Light of Financial Economics Symposium, M-RS04-1.

Description: Discussion among experts. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: 2011 SOA ERM Symposium, Chicago. This paper addresses the contradiction between the financial theory of hedging and management practice. It also examines how consistent hedging policy is incompatible with management’s competencies and role in the company, requiring management to form strong future price expectations. Finally, this paper describes a process that management actually follows when making decisions about hedging and stress the role of the expectations discrepancy in this process.